My best mate Alex showed me how to play the riff to R.E.M. - Everybody Hurts after one of their gigs yeeeeeears ago. AFter that I stole my Dads acoustic and taught myself all my favourite songs (at the time it was all Blur, Oasis and Radiohead)
The internet has tons of tabs to teach yourself with. I'd find a song with a "skill" in I'd like to learn (tapping, vibrato, whatever), get the tab and recording and push myself until I could play it like the original.
Picked up a few DVDs on theory that I skimmed through. Learnt some interesting stuff about how chords are constructed and the CAGED system, but not much else. That all came into it's own when I decided to learn piano...
Had all of one hour long lesson on piano and realised I knew everything my teacher could show me already from guitar. It really blew my mind that it was so cross compatible! Since then I've nailed all the scales by ear and am using the same way I taught myself guitar for piano (the piano part to Adele - Turning Tables is really interesting, and hard!)
The thing I am considering is singing lessons. Maybe it's just real low confidence but I think my voice sucks. I dunnoi. Maybe I;ll buy some audio books and see how I get on?
All in all, if you apply a little intellignce and a lot of patience with yourself, I believe you can teach yourself anything.
Peter